Executive Summary
Strategy Overview
Strategy: Momentum Strategy
Period: 2014-12-31 to 2025-07-21
Total Trades: 5300
Strategy Performance
Total Return
1096.68%
Annualized Return
26.62%
Volatility
15.90%
Sharpe Ratio
1.44
Max Drawdown
-10.65%
Strategy Risk Profile
Beta vs Benchmark
-0.2040
Alpha vs Benchmark
26.51%
VaR (95%)
-1.16%
Win Rate (Daily)
49.5%
Key Insights
- Strong risk-adjusted returns with Sharpe ratio above 1.0
- Reasonable drawdown control with maximum drawdown under 20%
- Low win rate suggesting need for signal improvement
- Strong positive alpha indicating skill-based returns
Strategy Overview
Strategy Characteristics
Strategy Type: Statistical Arbitrage
Asset Class: Equities
Trading Universe: S&P 500
Signal Frequency: Medium Frequency (100-1000 trades/year)
Holding Period: Short-term (<5 days)
Leverage: No leverage (100% cash)
Backtest Parameters
Start Date: 2014-12-31
End Date: 2025-07-21
Total Days: 3855
Initial Capital: $100,000
Data Source: Yahoo Finance
Execution Assumptions
Slippage: N/A (Not implemented)
Commission: N/A (Not implemented)
Liquidity Filters: N/A (Not implemented)
Execution Quality: N/A (Not implemented)
Strategy Description
This statistical arbitrage strategy operates in the equities market with a focus on S&P 500. The strategy employs medium frequency (100-1000 trades/year) signals with short-term (<5 days) holding periods, designed to capture market inefficiencies through systematic analysis of price patterns and market dynamics.
The backtest covers a 3855-day period from 2014-12-31 to 2025-07-21, starting with $100,000 in initial capital. The strategy would have led to a final value of $1,199,970, representing a 1100.0% return over the 3855-day backtest period. Execution costs and implementation details are not yet implemented in this backtest framework.
Key Performance Metrics - Strategy vs Benchmark
Strategy Performance
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Cumulative Return | 1096.68% | 206.62% |
| Annualized Return | 26.62% | 11.24% |
| Alpha | 26.51% | 0.00% |
| Sharpe Ratio | 1.44 | 0.62 |
| Sortino Ratio | 2.95 | 0.78 |
| Calmar Ratio | 2.15 | 0.35 |
| Beta | -0.2040 | 1.00 |
Strategy Risk Profile
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Volatility (Ann.) | 15.90% | 15.87% |
| Max Drawdown | -10.65% | -32.24% |
| Value-at-Risk (95%) | -1.16% | -1.60% |
| Value-at-Risk (99%) | -1.89% | -3.06% |
| Tail Risk | -1.64% | -2.46% |
| Win Rate (Daily) | 49.5% | 56.3% |
| Turnover | 1.86 | N/A |
Period Performance - Strategy vs Benchmark
Note: All returns below are annualized (projected annual rate). For actual cumulative returns, see the Performance Chart above.
| Period | Return (Annualized) | Volatility (Annualized) | ||
|---|---|---|---|---|
| Strategy | Benchmark | Strategy | Benchmark | |
| MTD | 6.58% | 50.78% | 9.36% | 6.99% |
| YTD | 36.73% | 12.65% | 14.93% | 23.62% |
| 1Y | 48.69% | 12.53% | 17.62% | 19.70% |
| 3Y | 24.78% | 17.58% | 15.93% | 16.66% |
| 5Y | 27.03% | 14.39% | 15.68% | 16.55% |
| All Time | 26.55% | 11.22% | 15.90% | 15.87% |
Performance Charts
Cumulative Performance (Base 100) - Strategy vs Benchmark
Performance Overview
Cumulative Drawdown from Peak
Note: Shows drawdown from the highest point reached. Negative values indicate decline from peak.
Returns Distribution
Note: Distribution of daily returns. Helps identify return patterns and outliers.
Risk & Volatility Analysis
Rolling Sharpe Ratio (60-Day Window)
Note: 60-day rolling window, annualized. Window adjusts for shorter datasets.
Rolling Beta (60-Day Window)
Note: 60-day rolling window. Shows how strategy's sensitivity to benchmark changes over time.
Correlation & Exposure Analysis
Strategy vs Benchmark Returns Scatter
Beta Calculation: β = Cov(Strategy Returns, Benchmark Returns) / Var(Benchmark Returns)
Portfolio Exposure Over Time
Note: Shows portfolio exposure and allocation changes over time.
Advanced Risk Metrics
Value-at-Risk Over Time
Calculation Method: 30-day rolling window historical VaR (5th percentile). The step-like appearance occurs because VaR changes only when the worst return in the rolling window changes. Note: Shows potential loss estimates at 95% confidence level.
Trade/Signal Summary
Signal Analysis
| Metric | Value |
|---|---|
| Daily Signal Hit Rate | 49.5% |
| Signals per Month | 20.9 |
| Position Balance | 0.67 |
| Signal Quality | 100.0% |
| Daily Turnover | 0.007 |
Daily Signal Hit Rate: Percentage of days with active signals that generated positive returns.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Signal Quality: Percentage of days when market signals aligned with strategy expectations.
Daily Turnover: Average daily change in position sizes.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Signal Quality: Percentage of days when market signals aligned with strategy expectations.
Daily Turnover: Average daily change in position sizes.
Trade Execution
| Metric | Value |
|---|---|
| Total Trades Executed | 5300 |
| Win Rate | 49.5% |
| Avg PnL per Trade | 0.0010 (≈$99) |
| Annualized Turnover | 1.9 |
Win Rate: Percentage of profitable trades (different from signal hit rate).
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Data Source: Daily Returns
Notes & Metadata
- Code Version: v2.0.0
- Backtest Parameters:
- Lookback: N/A days
- Universe: 2 assets
- Slippage: N/A (Not implemented)
- Costs: N/A (Not implemented)
- Report Generation Date: 2025-07-23
- Environment: Backtest
Additional Notes
This report was generated using historical data and backtest results.